 In the Europa League, Caicedo made his debut in the Play-off round as Lokomotiv Moscow beat Spartak Trnava 3–1 on aggregate on 25 August 2011.On 20 October 2011, Caicedo scored his first Europa League goal in a 3–1 win over AEK Athens on a Group Stage.On 16 February 2012 in the Round of 32 of the Europa League, Caicedo scored a winning goal on a 71st minutes against Athletic Bilbao in a 2–1 win of the first leg of Round of 32 of the Europa League.